金融海嘯前後貨幣供給額對新台幣匯率之衝擊－以向量自我迴歸驗證

2008年金融海嘯後，美國貨幣量化寬鬆政策下，大批熱錢席捲全球，造成不少經濟問題，以出口為導向之台灣更是首當其衝，本研究對金融海嘯前後貨幣供給額對新台幣兌美元匯率之影響效果進行比較：應用時間序列方法中單根檢定，向量自我迴歸模型和因果關係檢定、衝擊反應與變異數分解探討各經濟指標間的相互關係，藉以評論金融海嘯前後，央行所採取的應對政策以及政策效果。本研究發現，中央行在金融海嘯前採被動因應策略：若匯率下跌，新台幣升值，則減少新台幣供給量以維持物價穩定；在金融海嘯後採主動預應策略：變動當月之貨幣供給來影響下一個月之匯率，此一策略自2009年以來，對維持台灣產業之競爭力以及穩定物價頗見功效。

關鍵字

金融海嘯；向量自我迴歸模型；因果關係檢定；採被動因應策略；主動預應策略

並列摘要

After the financial crisis in 2008, the U.S. adopted quantitative easing (QE) as her monetary policy, and a large number of hot money swept the world, which resulted in a lot of economic problems for some export-oriented countries such as, Taiwan, the objective of the study. This study compared the effects that the money supply impacts on the exchange rate of NT to U.S. dollar before and after the financial tsunami. The methodology of time series analysis, such as unit root test, vector auto-regression model and causality test, impulse response and variance decomposition, were exercised to explore the interactions among the various economic indicators. Furthermore, the effectiveness of central bank's momentary policies, for turning around the disadvantage arose from the financial tsunami, were discussed in this paper. Research findings indicate that the central bank adopts passive coping strategies before the financial crisis: if Exchange rate fell, the NT dollar is appreciation, the central bank increases NT supply to maintain the stability of prices. After the financial tsunami, the central bank adopts initiative anticipatory strategies: increasing the money supply of present month to influence the exchange rate of next month. Since 2009, the initiative anticipatory strategies of central bank have maintained the competitiveness of industries and kept the stability of prices.